A depleted Arsenal will play Zagreb away without top striker and captain Thierry Henry. Henry linked up with his team mates less than one week ago and still not ready to play.
Germany's starting goalkeeper Jens Lehmann is serving a one-match suspension after being dismissed against Barcelona last year while Freddie Ljungberg and Philippe Senderos are out with different injuries.
"We have a gap physically so we are not completely ready," The Telegraph quoted Wenger as saying on Sunday.
"I cannot get Henry ready because he played in the World Cup and then I have to give him away again for a friendly international. That shows how ridiculous the whole situation is."
Arsenal, who were one up against Barcelona in the final with 14 minutes remaining, have to play the qualifying round after finishing the Premiership fourth.
Only the first two teams in England receive automatic berths in the group stage.
The Gunners can't financially afford an early exit from the Champions League especially after moving to their 60.000-seater Emirates Stadium.
Arsenal spent big money on the new venue hoping that going at least as far as last season in the Champions League can pump revenues into the club.
"That's why we want to be intelligent," the Frenchman said. "We are very aware of the importance of this game but we are confident we can qualify."
"On Tuesday, it will be a big game for us but we go into it with a positive attitude. Overall Zagreb are a good team but I know we can beat them."